Quantitative Analyst

London  ‐ Onsite
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Description

Counterparty Credit Risk, CCR, Quantitative Analyst, Traded Risk, Development, Validation, Model, Stochastic Calculus, Econometrics, Stakeholder, Matlab, London.

My Client, a Top Tier Investment Bank is currently looking for a Quantitative Analysts to work on the development and Validation of the Counterparty Credit Risk Models and Methodologies within the Global Traded Risk Analytics team. These changes are in compliance with the CCR regulatory changes and therefore any experience with this area would be extremely valuable.

The successful candidate will be responsible for the validation and backtesting of the CCR models and methodologies and will therefore need a deep understanding and hands on experience in the development and or validation of Counterparty Credit Risk. Experience in VaR, Stress VaR, RNIV and IRC would also be a plus.

You will be backtesting the models to fixed deadlines that will be phased out over the next 2-3 years. The successful candidate will ensure the models are conceptually sound, check the calibrations are fit for purpose, recognise shortcomings and identify which assumptions will break.

The candidate will be dealing with a number of stakeholders within analytics facing off to the backtesting team, model developers and IT team.

The candidate must also have:

  • 3 Years experience in Counterparty Credit Risk modelling/validation
  • Minimum Masters in Maths/Science/Engineering (PHD preferred)
  • Good understanding of Matlab and other technical/programming disciplines

Quantitative/Statistical background (Stochastic Calculus/Econometrics

Allegis Group Limited and Aston Carter Limited operate Employment Businesses and Agencies and are companies within the Allegis Group Inc. group of companies, the fourth largest staffing company in the world, (collectively referred to as the "Allegis Group"). TEKsystems and Aerotek are divisions of Allegis Group Limited. Applicant data will be treated in accordance with the Allegis Group's Privacy Notice). By submitting personal data to any company or division within the Allegis Group, the applicant is providing explicit consent to the use of such data by the Allegis Group and to the transfer of such data to and from the Allegis Group companies within the UK, Europe and outside the European Economic Area in connection with the fulfilment of the applicant's voluntary requests, and the fulfilment of other job opportunities that match the applicant's profile, and confirms that they may be contacted about such job opportunities.

Start date
ASAP
Duration
6 month rolling
From
Aston Carter
Published at
16.03.2016
Project ID:
1092478
Contract type
Freelance
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